Nebulae (plural for nebula) are regions of space where stars are born. These areas usually have gases of Hydrogen and Helium.
Gravity pulls clumps of gas together. As this happens, it generates heat. If enough hydrogen clumps together and enough heat is generated a protostar forms. These light up the surrounding areas and together with the other gases, they form the nebulae.
The easiest nebula to see from Earth is the Orion Nebula. It lies in the constellation of Orion just under Orion's 'belt'. It appears as a red smudge with a naked eye.